For the G-Score, firms with stronger growth fundamentals have better future realizations of earnings and are less likely to delist for reasons related to poor performance. Strong firms are more likely to beat the earnings forecast and earn positive abnormal returns around future earnings announcements.
The G-Score consists of three sub-group of ratios. These are:
From the universe of the entire US equities, G-Score is calculated for each equity, followed by ranking equities from the highest to the lowest G-Score; the ranking is normalized with Z-Score function.
Portfolio showcase is created by dividing the universe into 7 parts basing on stocks’ G-Score value, with the G6 representing the stocks with G-Score equal to 6 and the bottom G0 representing the stocks with G-Score equal to 0.
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